Comments on: containing a strategy

By: Hack the market » lock free

Hack the market » lock free — Wed, 17 Feb 2010 00:56:29 +0000

[...] In the remainder of this post, I’ll briefly describe the FF design and then illustrate a sample C++ program which uses FastFlow to ‘architecturally prototype’ a feed handler interacting with strategies inside an EMS / strategy container. [...]

By: Hack the market » ready to launch

Hack the market » ready to launch — Wed, 18 Nov 2009 17:21:20 +0000

[...] this post I’m going to revisit some of the topics discussed in the recent ‘containing a strategy‘ and ‘multi-strategy trading with regimes‘ posts, focusing on the process of [...]

By: Hack the market » multi-strategy trading with regimes

Hack the market » multi-strategy trading with regimes — Wed, 18 Nov 2009 17:16:41 +0000

[...] strategies in relevant ways using the strategy ‘object model’ I’ve described previously through an example, and conclude with some thoughts on how these kinds of strategies might be [...]

By: tito

tito — Fri, 21 Aug 2009 11:36:31 +0000

I had written a post entitled ’simulating an exchange’ which spoke a bit about the issues in writing a simulator. It’s a complex-ish piece of software, and can really be a mess as you try to support conditional and contingent orders. Supporting different data frequencies/qualities also adds complexity. If I had it to do over again, I’d focus on ensuring I had very good quality data treated uniformly and the simulator would simplify significantly.

I’ve managed to avoid refactoring that code for a longish while now, but when I do I’ll try to identify some interesting characteristics to share about it…

By: Craig

Craig — Thu, 20 Aug 2009 18:36:39 +0000

I’m not sure I would have anything to show, my stuff is C++/interface based, I basically have a series of ‘mix-in’ classes which perform different services (result tracking, indicator containers) which form a basic strategy. I have the abstract ‘trading platform’ concept currently implemented as FIX (like you), feel free to ask me about anything in particular. The thing which interests me most about your setup is the ‘Exchange Simulator’, do you mind talking more about how that works?

By: tito

tito — Thu, 20 Aug 2009 12:38:03 +0000

Thanks – glad you enjoyed it. If you have any interesting innovations in your system I’d like to hear about them…

By: Craig

Craig — Thu, 20 Aug 2009 04:56:28 +0000

Nice read, my project is just about at it’s one year anniversary, it sounds very similar in some ways to what you have done. The hardest part with real-time programs is always the testing, it may look like it’s working but…

Your blog is always interesting, keep up the good posts!